Time Series Analysis in Python with statsmodels - SciPy

← Back to document page

time Series Analysis in Python with statsmodelsWes McKinney1Josef Perktold2Skipper Seabold31Department of Statistical ScienceDuke University2Department of EconomicsUniversity of North Carolina at Chapel Hill3Department of EconomicsAmerican University10thPython in Science Conference, 13 July 2011McKinney, Perktold, Seabold ( statsmodels ) Python time Series AnalysisSciPy Conference 20111 / 29What is statsmodels ?A library for statistical modeling, implementing standard statisticalmodels in Python using NumPy and SciPyIncludes:Linear (regression) models of many formsDescriptive statisticsStatistical testsTime Series much moreMcKinney, Perktold, Seabold ( statsmodels ) Python time Series AnalysisSciPy Conference 20112 / 29What is time Series Analysis ?

Widely used model for modeling multiple (K-variate) time series, especially in macroeconomics: Y t = A 1Y t 1 + :::+ A pY t p + t; t ˘N(0;) Matrices A i are K K. Y t must be a stationary process (sometimes achieved by di erencing). Related class of models (VECM) for modeling nonstationary (including cointegrated) processes

  Series, Python, Time, Time series, Variate